Blender Lamp not illuminating or reflecting in viewport
(Do note this is for the Blender Internal renderer.)

You absolutely can see lighting and shadows in the viewport. Your issue is you have the Viewport Shading set to Solid. In Solid you do not get lighting or shadows.

Switch the Viewport Shading to either Textured, or Material. (Rendered will show the lighting too, but that is not what you want.)
Now in the properties panel under the Shading section set the Material Mode to GLSL.